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Birru, Justin; Gokkaya, Sinan; Liu, Xi; Stulz, René M. - 2019

Using a novel database, we show that the stock-price impact of analyst trade ideas is at least as large as the impact of stock recommendation, target price, and earnings forecast changes, and that investors following trade ideas can earn significant abnormal returns. Trade ideas triggered by...

Persistent link: https://www.econbiz.de/10012120228

The liquidity cost of private equity investments : evidence from secondary market transactions

Nadauld, Taylor D.; Sensoy, Berk A.; Vorkink, Keith; … - 2017

This paper uses proprietary data from a leading intermediary to understand the magnitude and determinants of transaction costs in the secondary market for private equity stakes. Most transactions occur at a discount to net asset value. Buyers average an annualized public market equivalent of...

Persistent link: https://www.econbiz.de/10011962229

Private Equity Investor Sentiment Around the World

Zhang, Minjie - 2017

I propose a new investor sentiment measurement for the private equity market based on over 12,000 private equity deals from 68 countries over 1992 to 2012. The data indicate that institutional environments and firm-specific characteristics are both strong determinants of the private equity...

Persistent link: https://www.econbiz.de/10012945758

Equilibrium Liquidity Premia of Private Equity Funds

Buchner, Axel - 2015

This paper proposes a theory of the equilibrium liquidity premia of private equity funds and explores its asset-pricing implications. The theory is based on the notion that investors are exposed to the risk of facing surprise liquidity shocks, which upon arrival force them to liquidate their...

Persistent link: https://www.econbiz.de/10013030408

Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices

Buffa, Andrea M - 2018

benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate … across assets. Fluctuations in asset managers' capital invested for benchmarking purposes, scaled by the size of the economy … these benchmarking-induced spillovers by analyzing shock elasticities and cross-elasticities of price-dividend ratios, and …

Persistent link: https://www.econbiz.de/10012910534

Delegated portfolio management, optimal fee contracts, and asset prices

Sato, Yuki - 2015

This paper proposes a model of asset-market equilibrium with portfolio delegation and optimal fee contracts. Fund managers and investors strategically interact to determine funds' investment profiles, while they share portfolio risk through fee contracts. In equilibrium, their investment...

Persistent link: https://www.econbiz.de/10011293478

The salience of ESG ratings for stock pricing : evidence from (potentially) confused investors

Rzeźnik, Aleksandra; Hanley, Kathleen Weiss; Pelizzon, … - 2021

We exploit a modification to Sustainalytics' environmental, social, and governance (ESG) rating methodology, which is subsequently adopted by Morningstar, to study whether ESG ratings are salient for stock pricing. We show that the inversion of the rating scale but not new information leads some...

Persistent link: https://www.econbiz.de/10012643898

More Informative Disclosures, Less Informative Prices? Portfolio and Price Formation Around Quarter-Ends

Gormley, Todd A. - 2020

Fund trades and prices vary systematically with the quarterly reporting cycle. Funds are more likely to complete the building of a position at quarter-end, which is when most funds report positions to investors, and begin building new positions afterwards. While some of the observed shift in...

Persistent link: https://www.econbiz.de/10012853490

Overselling Winners and Losers : How Mutual Fund Managers' Trading Behavior Affects Asset Prices

An, Li - 2020

We link a seemingly biased trading behavior to equilibrium asset prices. U.S. equity mutual fund managers tend to sell both their big winners and big losers. This selling pressure pushes down current prices and leads to higher future returns; aggregating across funds, we nd that securities for...

Persistent link: https://www.econbiz.de/10012856415

Dynamic Agency, Delegated Portfolio Management and Asset Pricing

Leung, Raymond C. W. - 2014

We study a dynamic contracting problem in continuous-time dynamically complete market general equilibrium, whereby an investor must delegate all his portfolio choice problems to a manager. This framework is one of the first attempts to attack a combined dynamic contracting and dynamic asset...

Persistent link: https://www.econbiz.de/10013043235

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